On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root
- Authors
- Gorgens, Tue; Han, Chirok; Xue, Sen
- Issue Date
- 12월-2020
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Dynamic panel data models; Fixed effects; Generalized method of moments; Quadratic moment restrictions; Nonstandard limiting distributions
- Citation
- ECONOMICS LETTERS, v.197
- Indexed
- SSCI
SCOPUS
- Journal Title
- ECONOMICS LETTERS
- Volume
- 197
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/51314
- DOI
- 10.1016/j.econlet.2020.109605
- ISSN
- 0165-1765
- Abstract
- This paper considers the GMM estimator, alpha, of the autoregressive parameter in linear dynamic panel data models with fixed effects when the data-generating process has a unit root. Previous literature has established that the limit distribution of n(1/4)(alpha - 1) is degenerate and nondegenerate each with probability 1/2. We sharpen this result by showing that the limit distribution of n(1/2)(alpha - 1) is nondegenerate when n(1/4)(alpha - 1) converges in probability to 0, and we characterize the limit distribution which is nonstandard. (C) 2020 Published by Elsevier B.V.
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Collections - College of Political Science & Economics > Department of Economics > 1. Journal Articles
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